A note on upper estimates for Pickands constants

DOI10.1016/J.SPL.2008.01.071zbMATH Open1283.60068OpenAlexW2075228436MaRDI QIDQ730709FDOQ730709

Authors Paweł Kisowski, Krzysztof Dȩbicki

Publication date 30 September 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2008.01.071

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

Recommendations

• Some Properties of Generalized Pickands Constants
• Pickands' constant \(H_{\alpha}\) does not equal \(1/\Gamma(1/\alpha)\), for small \(\alpha\)
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• scientific article; zbMATH DE number 1850764

Cites work

• scientific article; zbMATH DE number 1850764 (Why is no real title available?)
• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• scientific article; zbMATH DE number 854962 (Why is no real title available?)
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• On the Distribution of the Supremum Functional for Processes with Stationary Independent Increments
• Ruin probability for Gaussian integrated processes.
• Simulation of the Asymptotic Constant in Some Fluid Models
• Some Properties of Generalized Pickands Constants

Cited in

(27)

• Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids
• Generalized Pickands constants and stationary max-stable processes
• Asymptotics of maxima of strongly dependent Gaussian processes
• On generalised Piterbarg constants
• Parisian ruin of self-similar Gaussian risk processes
• Extremes of vector-valued Gaussian processes: exact asymptotics
• On asymptotic constants in the theory of extremes for Gaussian processes
• scientific article; zbMATH DE number 1850764 (Why is no real title available?)
• On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes
• The limit theorems for maxima of stationary Gaussian processes with random index
• Approximation of sojourn times of Gaussian processes
• Bounds on the suprema of Gaussian processes, and omega results for the sum of a random multiplicative function
• On the \(\gamma\)-reflected processes with fBm input
• Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)
• Extremes and First Passage Times of Correlated Fractional Brownian Motions
• Ruin problem of a two-dimensional fractional Brownian motion risk process
• Open problems in Gaussian fluid queueing theory
• Bounds for expected maxima of Gaussian processes and their discrete approximations
• Large deviations of Shepp statistics for fractional Brownian motion
• On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
• Extremes of locally stationary chi-square processes with trend
• Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval
• Pickands' constant at first order in an expansion around Brownian motion
• On the continuity of Pickands constants
• Extremes of \(\alpha(\mathbf{t})\)-locally stationary Gaussian random fields
• Remarks on Pickands' theorem
• Some Properties of Generalized Pickands Constants

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